CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000
α ARCH Response to squared shocks	0.1884	408.69***
β GARCH Volatility persistence	0.9990	2,042.94***
ν DF Student-t tail thickness	3.1158	186.07***

V-Lab

Gazprom PAO GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gazprom PAO Analyses